Fair Value of Financial Instruments (Tables)
|
3 Months Ended |
Mar. 31, 2021 |
Fair Value Disclosures [Abstract] |
|
Record Amount of Assets and Liabilities Measured at Fair Value on a Recurring Basis |
The tables below present the recorded amount of assets and liabilities measured at fair value on a recurring basis.
March 31, 2021 |
|
Total |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Investment securities available-for-sale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US government agencies |
|
$ |
15,829 |
|
|
$ |
— |
|
|
$ |
15,829 |
|
|
$ |
— |
|
Mortgage-backed securities |
|
|
755,775 |
|
|
|
— |
|
|
|
755,775 |
|
|
|
— |
|
Municipal bonds1 |
|
|
3,573 |
|
|
|
— |
|
|
|
3,477 |
|
|
|
96 |
|
Loans held for sale |
|
|
35,936 |
|
|
|
— |
|
|
|
— |
|
|
|
35,936 |
|
Loans held for investment |
|
|
790,797 |
|
|
|
— |
|
|
|
— |
|
|
|
790,797 |
|
Servicing assets2 |
|
|
37,744 |
|
|
|
— |
|
|
|
— |
|
|
|
37,744 |
|
Mutual fund |
|
|
2,331 |
|
|
|
— |
|
|
|
2,331 |
|
|
|
— |
|
Equity warrant assets3 |
|
|
1,314 |
|
|
|
— |
|
|
|
— |
|
|
|
1,314 |
|
Total assets at fair value |
|
$ |
1,643,299 |
|
|
$ |
— |
|
|
$ |
777,412 |
|
|
$ |
865,887 |
|
December 31, 2020 |
|
Total |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Investment securities available-for-sale |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US government agencies |
|
$ |
15,919 |
|
|
$ |
— |
|
|
$ |
15,919 |
|
|
$ |
— |
|
Mortgage-backed securities |
|
|
730,454 |
|
|
|
— |
|
|
|
730,454 |
|
|
|
— |
|
Municipal bonds1 |
|
|
3,725 |
|
|
|
— |
|
|
|
3,629 |
|
|
|
96 |
|
Loans held for sale |
|
|
36,111 |
|
|
|
— |
|
|
|
— |
|
|
|
36,111 |
|
Loans held for investment |
|
|
815,374 |
|
|
|
— |
|
|
|
— |
|
|
|
815,374 |
|
Servicing assets2 |
|
|
33,918 |
|
|
|
— |
|
|
|
— |
|
|
|
33,918 |
|
Mutual fund |
|
|
2,351 |
|
|
|
— |
|
|
|
2,351 |
|
|
|
— |
|
Equity warrant assets3 |
|
|
908 |
|
|
|
— |
|
|
|
— |
|
|
|
908 |
|
Total assets at fair value |
|
$ |
1,638,760 |
|
|
$ |
— |
|
|
$ |
752,353 |
|
|
$ |
886,407 |
|
(1) |
During the three months ended March 31, 2021, the Company recorded no fair value adjustment gain/loss. During the three months ended March 31, 2020, the Company recorded a fair value adjustment gain of $1 thousand. |
(2) |
See Note 7 for a rollforward of recurring Level 3 fair values for servicing assets. |
(3) |
During the three months ended March 31, 2021, the Company entered into equity warrant assets with a fair value of $21 thousand at the time of issuance and recorded net gains on derivative instruments of $385 thousand. During the three months ended March 31, 2020, the Company entered into equity warrant assets with a fair value of $164 thousand at the time of issuance and recorded net losses on derivative instruments of $32 thousand. |
|
Summary of Fair Value Carrying Amount and Unpaid Principal Outstanding of Loans Under Fair Value Option |
The following tables provide more information about the fair value carrying amount and the unpaid principal outstanding of loans accounted for under the fair value option at March 31, 2021 and December 31, 2020.
|
|
March 31, 2021 |
|
|
|
Total Loans |
|
|
Nonaccruals |
|
|
90 Days or More Past Due |
|
|
|
Fair Value Carrying Amount |
|
|
Unpaid Principal Balance |
|
|
Difference |
|
|
Fair Value Carrying Amount |
|
|
Unpaid Principal Balance |
|
|
Difference |
|
|
Fair Value Carrying Amount |
|
|
Unpaid Principal Balance |
|
|
Difference |
|
Fair Value Option Elections |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held for sale |
|
$ |
35,936 |
|
|
$ |
37,923 |
|
|
$ |
(1,987 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Loans held for investment |
|
|
790,797 |
|
|
|
814,729 |
|
|
|
(23,932 |
) |
|
|
40,234 |
|
|
|
43,973 |
|
|
|
(3,739 |
) |
|
|
26,249 |
|
|
|
29,089 |
|
|
|
(2,840 |
) |
|
|
$ |
826,733 |
|
|
$ |
852,652 |
|
|
$ |
(25,919 |
) |
|
$ |
40,234 |
|
|
$ |
43,973 |
|
|
$ |
(3,739 |
) |
|
$ |
26,249 |
|
|
$ |
29,089 |
|
|
$ |
(2,840 |
) |
|
|
December 31, 2020 |
|
|
|
Total Loans |
|
|
Nonaccruals |
|
|
90 Days or More Past Due |
|
|
|
Fair Value Carrying Amount |
|
|
Unpaid Principal Balance |
|
|
Difference |
|
|
Fair Value Carrying Amount |
|
|
Unpaid Principal Balance |
|
|
Difference |
|
|
Fair Value Carrying Amount |
|
|
Unpaid Principal Balance |
|
|
Difference |
|
Fair Value Option Elections |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held for sale |
|
$ |
36,111 |
|
|
$ |
38,135 |
|
|
$ |
(2,024 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Loans held for investment |
|
|
815,374 |
|
|
|
845,082 |
|
|
|
(29,708 |
) |
|
|
35,499 |
|
|
|
39,318 |
|
|
|
(3,819 |
) |
|
|
25,532 |
|
|
|
28,741 |
|
|
|
(3,209 |
) |
|
|
$ |
851,485 |
|
|
$ |
883,217 |
|
|
$ |
(31,732 |
) |
|
$ |
35,499 |
|
|
$ |
39,318 |
|
|
$ |
(3,819 |
) |
|
$ |
25,532 |
|
|
$ |
28,741 |
|
|
$ |
(3,209 |
) |
|
Schedule of Net Gains (Losses) from Changes in Fair Value |
The following table presents the net gains (losses) from changes in fair value.
|
|
Three Months Ended March 31, |
|
Gains (Losses) on Loans Accounted for under the Fair Value
Option |
|
2021 |
|
|
2020 |
|
Loans held for sale |
|
$ |
36 |
|
|
$ |
120 |
|
Loans held for investment |
|
|
4,182 |
|
|
|
(10,758 |
) |
|
|
$ |
4,218 |
|
|
$ |
(10,638 |
) |
|
Summary of the Activity Pertaining to Loans Accounted for Under Fair Value Option |
The following tables summarize the activity pertaining to loans accounted for under the fair value option.
|
|
Three Months Ended March 31, |
|
Loans held for sale |
|
2021 |
|
|
2020 |
|
Balance at beginning of period |
|
$ |
36,111 |
|
|
$ |
16,198 |
|
Issuances & repurchases |
|
|
— |
|
|
|
3,045 |
|
Fair value changes |
|
|
36 |
|
|
|
120 |
|
Sales |
|
|
— |
|
|
|
— |
|
Settlements |
|
|
(211 |
) |
|
|
(212 |
) |
Balance at end of period |
|
$ |
35,936 |
|
|
$ |
19,151 |
|
|
|
Three Months Ended March 31, |
|
Loans held for investment |
|
2021 |
|
|
2020 |
|
Balance at beginning of period |
|
$ |
815,374 |
|
|
$ |
824,520 |
|
Issuances & repurchases |
|
|
5,570 |
|
|
|
61,611 |
|
Fair value changes |
|
|
4,184 |
|
|
|
(10,758 |
) |
Settlements |
|
|
(34,331 |
) |
|
|
(43,947 |
) |
Balance at end of period |
|
$ |
790,797 |
|
|
$ |
831,426 |
|
|
Recorded Amount of Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis |
The tables below present the recorded amount of assets and liabilities measured at fair value on a non-recurring basis.
March 31, 2021 |
|
Total |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Collateral dependent loans |
|
$ |
6,935 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
6,935 |
|
Foreclosed assets |
|
|
4,185 |
|
|
|
— |
|
|
|
— |
|
|
|
4,185 |
|
Total assets at fair value |
|
$ |
11,120 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
11,120 |
|
December 31, 2020 |
|
Total |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Collateral dependent loans |
|
$ |
4,159 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,159 |
|
Foreclosed assets |
|
|
4,155 |
|
|
|
— |
|
|
|
— |
|
|
|
4,155 |
|
Long-lived asset held for sale |
|
|
8,874 |
|
|
|
8,874 |
|
|
|
— |
|
|
|
— |
|
Equity security investment with a non-readily
determinable fair value |
|
|
25,367 |
|
|
|
— |
|
|
|
25,367 |
|
|
|
— |
|
Total assets at fair value |
|
$ |
42,555 |
|
|
$ |
8,874 |
|
|
$ |
25,367 |
|
|
$ |
8,314 |
|
|
Analysis of Level 3 Valuation Techniques |
For Level 3 assets and liabilities measured at fair value on a recurring or non-recurring basis as of March 31, 2021 and December 31, 2020 the significant unobservable inputs used in the fair value measurements were as follows:
March 31, 2021
Level 3 Assets with Significant
Unobservable Inputs |
|
Fair Value |
|
|
Valuation Technique |
|
Significant
Unobservable
Inputs |
|
Range |
Recurring fair value |
|
|
|
|
|
|
|
|
|
|
Municipal bond |
|
$ |
96 |
|
|
Discounted expected cash flows |
|
Discount rate
Prepayment speed |
|
4.5%
5.0% |
Loans held for sale |
|
$ |
35,936 |
|
|
Discounted expected cash flows |
|
Discount rate
Prepayment speed |
|
0.8% to 17.4%
WAVG 19.0% |
Loans held for
investment |
|
$ |
790,797 |
|
|
Discounted expected cash flows
Discounted appraisals |
|
Loss rate
Discount rate
Prepayment speed
Appraisal adjustments |
|
0.0% to 76.3% (WAVG 1.2%)
0.8% to 17.4%
WAVG 19.0%
10.0% to 65.0% |
Equity warrant assets |
|
$ |
1,314 |
|
|
Black-Scholes option pricing model |
|
Volatility
Risk-free interest rate
Marketability discount
Remaining life |
|
26.6% to 89.4%
0.92% to 1.74%
20.0%
4-10 years |
Non-recurring fair value |
|
|
|
|
|
|
|
|
|
|
Collateral dependent
loans |
|
$ |
6,935 |
|
|
Discounted appraisals |
|
Appraisal adjustments (1) |
|
10.0% to 65.0% |
Foreclosed assets |
|
$ |
4,185 |
|
|
Discounted appraisals |
|
Appraisal adjustments (1) |
|
7.5% to 10.0% |
December 31, 2020
Level 3 Assets with Significant
Unobservable Inputs |
|
Fair Value |
|
|
Valuation Technique |
|
Significant
Unobservable
Inputs |
|
Range |
Recurring fair value |
|
|
|
|
|
|
|
|
|
|
Municipal bond |
|
$ |
96 |
|
|
Discounted expected cash flows |
|
Discount rate
Prepayment speed |
|
4.3%
5.0% |
Loans held for sale |
|
$ |
36,111 |
|
|
Discounted expected cash flows |
|
Discount rate
Prepayment speed |
|
4.2% to 18.5%
WAVG 19.0% |
Loans held for
investment |
|
$ |
815,374 |
|
|
Discounted expected cash flows
Discounted appraisals |
|
Loss rate
Discount rate
Prepayment speed
Appraisal adjustments |
|
0.0% to 73.2% (WAVG 1.5%)
4.2% to 18.5%
WAVG 19.0%
10.0% to 83.0% |
Equity warrant assets |
|
$ |
908 |
|
|
Black-Scholes option pricing model |
|
Volatility
Risk-free interest rate
Marketability discount
Remaining life |
|
26.5-87.1%
0.36% to 0.93%
20.0%
5-10 years |
Non-recurring fair value |
|
|
|
|
|
|
|
|
|
|
Collateral dependent
loans |
|
$ |
4,159 |
|
|
Discounted appraisals |
|
Appraisal adjustments (1) |
|
10.0% to 83.0% |
Foreclosed assets |
|
$ |
4,155 |
|
|
Discounted appraisals |
|
Appraisal adjustments (1) |
|
10.0% to 20.0% |
(1) |
Appraisals may be adjusted by management for customized discounting criteria, estimated sales costs, and other qualitative adjustments. |
|
Carrying Amount and Estimated Fair Value of Financial Instruments |
The carrying amounts and estimated fair values of the Company’s financial instruments not measured at fair value on a recurring or non-recurring basis are as follows:
March 31, 2021 |
|
Carrying
Amount |
|
|
Quoted Price
In Active
Markets for
Identical Assets
/Liabilities
(Level 1) |
|
|
Significant
Other
Observable
Inputs
(Level 2) |
|
|
Significant
Unobservable
Inputs
(Level 3) |
|
|
Total
Fair
Value |
|
Financial assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and due from banks |
|
$ |
630,081 |
|
|
$ |
630,081 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
630,081 |
|
Federal funds sold |
|
|
5,461 |
|
|
|
5,461 |
|
|
|
— |
|
|
|
— |
|
|
|
5,461 |
|
Certificates of deposit with other banks |
|
|
6,500 |
|
|
|
6,839 |
|
|
|
— |
|
|
|
— |
|
|
|
6,839 |
|
Loans held for sale |
|
|
1,040,805 |
|
|
|
— |
|
|
|
— |
|
|
|
1,136,156 |
|
|
|
1,136,156 |
|
Loans and leases, net of allowance for
credit losses on loans and leases |
|
|
4,613,540 |
|
|
|
— |
|
|
|
— |
|
|
|
4,722,518 |
|
|
|
4,722,518 |
|
Financial liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits |
|
|
6,316,004 |
|
|
|
— |
|
|
|
6,227,312 |
|
|
|
— |
|
|
|
6,227,312 |
|
Borrowings |
|
|
1,465,961 |
|
|
|
— |
|
|
|
— |
|
|
|
1,451,459 |
|
|
|
1,451,459 |
|
December 31, 2020 |
|
Carrying
Amount |
|
|
Quoted Price
In Active
Markets for
Identical Assets
/Liabilities
(Level 1) |
|
|
Significant
Other
Observable
Inputs
(Level 2) |
|
|
Significant
Unobservable
Inputs
(Level 3) |
|
|
Total
Fair
Value |
|
Financial assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and due from banks |
|
$ |
297,167 |
|
|
$ |
297,167 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
297,167 |
|
Federal funds sold |
|
|
21,153 |
|
|
|
21,153 |
|
|
|
— |
|
|
|
— |
|
|
|
21,153 |
|
Certificates of deposit with other banks |
|
|
6,500 |
|
|
|
6,906 |
|
|
|
— |
|
|
|
— |
|
|
|
6,906 |
|
Loans held for sale |
|
|
1,139,359 |
|
|
|
— |
|
|
|
— |
|
|
|
1,235,122 |
|
|
|
1,235,122 |
|
Loans and leases, net of allowance for
credit losses on loans and leases |
|
|
4,277,250 |
|
|
|
— |
|
|
|
— |
|
|
|
4,366,489 |
|
|
|
4,366,489 |
|
Financial liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits |
|
|
5,712,828 |
|
|
|
— |
|
|
|
5,711,781 |
|
|
|
— |
|
|
|
5,711,781 |
|
Borrowings |
|
|
1,542,093 |
|
|
|
— |
|
|
|
— |
|
|
|
1,542,171 |
|
|
|
1,542,171 |
|
|